Trend-Following Backtester · Guide · backtest 한국어
equity · US
Halliburton Company backtest
10 trend-following strategies were compared on the full daily history of Halliburton Company. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.2%, MDD -54.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.9%, drawdown -93.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.2%, MDD -54.2%, Sharpe 0.40, 57% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.3%, MDD -62.8%, exposure 60%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 39.6%p (CAGR 7.2%, MDD -54.2%, exposure 57%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=41, slow=57 |
7.2% | -54.2% | 0.40 | 0.13 | 42.6x | 136 | 57% |
| Donchian 채널 돌파 entryN=43, exitN=56 |
7.3% | -62.8% | 0.40 | 0.12 | 45.8x | 124 | 60% |
| SMA 크로스오버 fast=10, slow=166 |
6.2% | -60.8% | 0.37 | 0.10 | 26.6x | 124 | 56% |
| ROC 모멘텀 n=61, threshold=-0.07 |
4.6% | -79.9% | 0.30 | 0.06 | 11.5x | 514 | 70% |
| Supertrend period=25, mult=4.7 |
3.9% | -78.7% | 0.28 | 0.05 | 8.0x | 196 | 54% |
| 볼린저 밴드 돌파 n=51, k=1.3 |
1.8% | -74.3% | 0.19 | 0.02 | 2.6x | 330 | 42% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=17, mult=1.3 |
0.5% | -84.6% | 0.13 | 0.01 | 1.3x | 442 | 44% |
| MACD fast=31, slow=48, signal=24 |
-1.5% | -92.9% | 0.08 | -0.02 | 0.4x | 456 | 52% |
| ADX / DI 방향성 period=37, threshold=28 |
-0.0% | -18.6% | 0.01 | -0.00 | 1.0x | 8 | 1% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.4% | -97.1% | -0.00 | -0.03 | 0.2x | 474 | 52% |
| Buy and hold | 3.9% | -93.8% | 0.30 | 0.04 | 8.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 41-day EMA crosses above the 57-day EMA
- Sell — Sell when the 41-day EMA falls below the 57-day EMA